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Stochastic differential games with constrained state estimators, involving linear system, quadratic cost functional and white Gaussian noises corrupting output measurements
This paper resolves a perennial point of confusion regarding the source-weighting normalization factor recommended in the MCNP manual (𝜋𝑟 2 ) to stochastically estimate the volume of a region within an enclosing inward-directed spherical surface source with radius 𝑟. The normalization factor arises from the relationship between a sphere’ s mean chord length, its volume, and the values estimated by MCNP track-length tallies. A brief derivation is given that relates these quantities and results in the stated normalization. The correctness of this factor is demonstrated by estimating the volume of a variety of convex and nonconvex volumes. A heuristic demonstration of how biasing the inward-directed source reduces the statistical uncertainty of the stochastic volume estimate is also given, but a rigorous analysis of this improvement is left as future work.
An introductory account of stochastic processes, estimation theory, and image enhancement is presented. The book is primarily intended for first-year graduate students and practicing engineers and scientists whose work requires an acquaintance with the theory. Fundamental concepts of probability were reviewed that are required to support the main topics. The appendices discuss the remaining mathematical background.
In this paper we focus on the parameter estimation of dynamic load models with stochastic terms-in particular, load models where protection settings are uncertain, such as in aggregated air conditioning units. We show how the uncertainty in the aggregated protection characteristics can be formulated as a stochastic differential equation with process noise. We cast the parameter inversion within a Bayesian parameter estimation framework, and we present methods to include process noise. We demonstrate the benefits of considering stochasticity in the parameter estimation and the risks of ignoring it.
The calculation of disconnected diagram contributions to physical signals is a computationally expensive task in Lattice QCD. To extract the physical signal, the trace of the inverse Lattice Dirac operator, a large sparse matrix, must be stochastically estimated. Because the variance of the stochastic estimator is typically large, variance reduction techniques must be employed. Multilevel Monte Carlo (MLMC) methods reduce the variance of the trace estimator by utilizing a telescoping sequence of estimators. Frequency Splitting is one such method that uses a sequence of inverses of shifted operators to estimate the trace of the inverse lattice Dirac operator, however there is no a priori way to select the shifts that minimize the cost of the multilevel trace estimation. Here we present a sampling and interpolation scheme that is able to predict the variances associated with Frequency Splitting under displacements of the underlying space time lattice. The interpolation scheme is able to predict the variances to high accuracy and therefore chooses shifts that correspond to an approximate minimum of the cost for the trace estimation. We show that Frequency Splitting with the chosen shifts displays significant speedups over multigrid deflation, and that these shifts can be used for multiple configurations within the same ensemble with no penalty to performance.
The calculation of disconnected diagram contributions to physical signals is a computationally expensive task in Lattice QCD. To extract the physical signal, the trace of the inverse Lattice Dirac operator, a large sparse matrix, must be stochastically estimated. Because the variance of the stochastic estimator is typically large, variance reduction techniques must be employed. Multilevel Monte Carlo (MLMC) methods reduce the variance of the trace estimator by utilizing a telescoping sequence of estimators. Frequency Splitting is one such method that uses a sequence of inverses of shifted operators to estimate the trace of the inverse of the lattice Dirac operator, however there is no a priori way to select the shifts that minimize the cost of the multilevel trace estimation. We present a sampling and interpolation scheme that is able to predict the variances associated with Frequency Splitting under displacements of the underlying space time lattice. The interpolation scheme is able to predict the variances to high accuracy and therefore choose shifts that correspond to an approximate minimum of the cost for the trace estimation. We show that Frequency Splitting with the chosen shifts displays significant speedups over multigrid deflation
In this study, we consider solving nonlinear optimization problems with a stochastic objective and deterministic equality constraints. We assume for the objective that its evaluation, gradient, and Hessian are inaccessible, while one can compute their stochastic estimates by, for example, subsampling. We propose a stochastic algorithm based on sequential quadratic programming (SQP) that uses a differentiable exact augmented Lagrangian as the merit function. To motivate our algorithm design, we first revisit and simplify an old SQP method Lucidi developed for solving deterministic problems, which serves as the skeleton of our stochastic algorithm. Based on the simplified deterministic algorithm, we then propose a non-adaptive SQP for dealing with stochastic objective, where the gradient and Hessian are replaced by stochastic estimates but the stepsizes are deterministic and prespecified. Finally, we incorporate a recent stochastic line search procedure Paquette and Scheinberg into the non-adaptive stochastic SQP to adaptively select the random stepsizes, which leads to an adaptive stochastic SQP. The global "almost sure" convergence for both non-adaptive and adaptive SQP methods is established. Numerical experiments on nonlinear problems in CUTEst test set demonstrate the superiority of the adaptive algorithm.
Sequential estimation of correlated stochastic variables and application to deep space orbit determinations
Although measuring the deterministic waveform of a weak classical force is a well-studied problem, estimating a random waveform, such as the spectral density of a stochastic signal field, is much less well understood despite it being a widespread task at the frontier of experimental physics. State-of-the-art precision sensors of random forces must account for the underlying quantum nature of the measurement but the optimal quantum protocol for interrogating such linear sensors is not known. We derive the fundamental precision limit: the extended-channel quantum Cramér-Rao bound. In the experimentally relevant regime in which losses dominate, we prove that non-Gaussian-state preparation and measurement are required to achieve this fundamental limit and we determine numerically the optimal non-Gaussian protocol. We discuss how this scheme could accelerate searches for signatures of quantum gravity, stochastic gravitational waves, and axionic dark matter.
In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a long memory process. This paper considers the structural break of data in order to determine true long memory time series data. Unlike usual short memory models for log volatility, the fractional Ornstein-Uhlenbeck process is neither a Markovian process nor can it be easily transformed into a Markovian process. This makes the likelihood evaluation and parameter estimation for the long memory stochastic volatility (LMSV) model challenging tasks. The drift and volatility parameters of the fractional Ornstein-Unlenbeck model are estimated separately using the least square estimator (lse) and quadratic generalized variations (qgv) method respectively. Finally, the empirical distribution of unobserved volatility is estimated using the particle filtering with sequential important sampling-resampling (SIR) method. The mean square error (MSE) between the estimated and empirical volatility indicates that the performance of the model towards the index prices of FTSE Bursa Malaysia KLCI is fairly well.
Systematic veri cation and validation (V&V) is necessary to establish the credibility for high consequence simulations. In this paper, we focus on a radiation-induced plasma experimental validation exercise for simulations which uses both numerical error estimation and input parameter uncertainty quanti cation to provide a direct comparison between Particle-In-Cell (PIC) plasma simulations and experiments. This approach demonstrates how careful validation can uncover missing physics in the simulation. Three di erent validation examples are shown; a vacuum space charge limited cavity, a gas lled space charge limited cavity, and a vacuum non space charge limited cavity. Two of the example are picked to show the importance of error estimation in uncovering inaccuracy/incomplete simulation models. We also report on a newly-developed numerical error estimation approach, StREEQ, which is a notable improvement to past approaches. In the StREEQ approach, a multi- tting scheme based on L 1 , L 2 , and L$\infty$ error norms and alternate weightings is used to propagate uncertainties in the relative importance of outliers and coarse/re ned discretization levels. Bootstrap sampling is used to represent the stochasticity in the response data. The resulting method appears to robustly and conservatively predict the fully-converged response within estimated numerical error bounds for stochastic simulations. The StREEQ approach is demonstrated on two related prototype electron diode problems, and preliminary results are reported for a radiation-induced plasma simulation.
Distribution network operation is becoming more challenging because of the growing integration of intermittent and volatile distributed energy resources (DERs). This motivates the development of new distribution system state estimation (DSSE) paradigms that can operate at fast timescale based on real-time data stream of asynchronous measurements enabled by modern information and communications technology. To solve the real-time DSSE with asynchronous measurements effectively and accurately, this paper formulates a weighted least squares DSSE problem and proposes an online stochastic gradient algorithm to solve it. The performance of the proposed scheme is analytically guaranteed and is numerically corroborated with realistic data on IEEE 123-bus feeder.
We demonstrate that centered likelihood ratio estimators for the sensitivity indices of complex stochastic dynamics are highly efficient with low, constant in time variance and consequently they are suitable for sensitivity analysis in long-time and steady-state regimes. These estimators rely on a new covariance formulation of the likelihood ratio that includes as a submatrix a Fisher information matrix for stochastic dynamics and can also be used for fast screening of insensitive parameters and parameter combinations. The proposed methods are applicable to broad classes of stochastic dynamics such as chemical reaction networks, Langevin-type equations and stochastic models in finance, including systems with a high dimensional parameter space and/or disparate decorrelation times between different observables. Furthermore, they are simple to implement as a standard observable in any existing simulation algorithm without additional modifications.
This work is concerned with stochastic optimal control for a running maximum cost. A direct approach based on dynamic programming techniques is studied leading to the characterization of the value function as the unique viscosity solution of a second order Hamilton–Jacobi–Bellman (HJB) equation with an oblique derivative boundary condition. A general numerical scheme is proposed and a convergence result is provided. Error estimates are obtained for the semi-Lagrangian scheme. These results can apply to the case of lookback options in finance. Moreover, optimal control problems with maximum cost arise in the characterization of the reachable sets for a system of controlled stochastic differential equations. Some numerical simulations on examples of reachable analysis are included to illustrate our approach.
Not Available
DeltaUQ is a PyTorch library for uncertainty quantification with deep neural networks. It is designed to be used transform any deep neural network to produce uncertainties on any task (classification, regression).
Abstract not provided.